I've got the Expansion Column Header changing styles for the child rows using the WHDG's RowExpanded client event.  I then get the column header through some javascript and add my new style to the element.

I've pasted my RowExpanded event below to demonstrate how I accomplished this.

function WebHierarchicalDataGrid1_ContainerGrid_RowExpanded(sender, eventArgs)
{
    ///<summary>
    ///
    ///</summary>
    ///<param name="sender" type="Infragistics.Web.UI.ContainerGrid"></param>
    ///<param name="eventArgs" type="Infragistics.Web.UI.ContainerGridRowEventArgs"></param>

    //  Get the island we've expanded.
    var island = eventArgs.get_row().get_rowIslands()[0];

    //  Access the expansion column header through the first column's sibling.
    var expansionColumnHeaderElem = island.get_columns().get_column(0).get_headerElement().previousSibling;
    expansionColumnHeaderElem.className = expansionColumnHeaderElem.className + " NewStyle";
    //$(expansionColumnHeaderElem).addClass("NewStyle");
}